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You searched for subject:(model confidence set). Showing records 1 – 12 of 12 total matches.

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Universidade do Rio Grande do Sul

1. Borges, Bruna Kasprzak. Avaliação da habilidade preditiva entre modelos Garch multivariados : uma análise baseada no critério Model Confidence Set.

Degree: 2012, Universidade do Rio Grande do Sul

Esta dissertação analisa a questão da seleção de modelos GARCH multivariados em termos da perfomance de previsão da matriz de covariância condicional. A aplicação empírica… (more)

Subjects/Keywords: Mercado financeiro; Multivariate GARCH; Inferência estatística; Variance matrix forecasting; Estimação; Loss function; Model confidence set

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Borges, B. K. (2012). Avaliação da habilidade preditiva entre modelos Garch multivariados : uma análise baseada no critério Model Confidence Set. (Thesis). Universidade do Rio Grande do Sul. Retrieved from http://hdl.handle.net/10183/70011

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Borges, Bruna Kasprzak. “Avaliação da habilidade preditiva entre modelos Garch multivariados : uma análise baseada no critério Model Confidence Set.” 2012. Thesis, Universidade do Rio Grande do Sul. Accessed October 23, 2019. http://hdl.handle.net/10183/70011.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Borges, Bruna Kasprzak. “Avaliação da habilidade preditiva entre modelos Garch multivariados : uma análise baseada no critério Model Confidence Set.” 2012. Web. 23 Oct 2019.

Vancouver:

Borges BK. Avaliação da habilidade preditiva entre modelos Garch multivariados : uma análise baseada no critério Model Confidence Set. [Internet] [Thesis]. Universidade do Rio Grande do Sul; 2012. [cited 2019 Oct 23]. Available from: http://hdl.handle.net/10183/70011.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Borges BK. Avaliação da habilidade preditiva entre modelos Garch multivariados : uma análise baseada no critério Model Confidence Set. [Thesis]. Universidade do Rio Grande do Sul; 2012. Available from: http://hdl.handle.net/10183/70011

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidade do Rio Grande do Sul

2. Ramos, Henrique Pinto. Um estudo sobre a previsibilidade dos preços de imóveis de Porto Alegre : evidências dos mercados de venda e de locação.

Degree: 2016, Universidade do Rio Grande do Sul

Esta dissertação apresenta um estudo sobre o mercado imobiliário de Porto Alegre que tem como objetivo verificar a formação de preços dos mercados de venda… (more)

Subjects/Keywords: Real estate; Imóveis; Hedonic prices; Locação de imóveis; Precificação; Spatial econometrics; Forecasting; Model confidence set

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Ramos, H. P. (2016). Um estudo sobre a previsibilidade dos preços de imóveis de Porto Alegre : evidências dos mercados de venda e de locação. (Thesis). Universidade do Rio Grande do Sul. Retrieved from http://hdl.handle.net/10183/140705

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Ramos, Henrique Pinto. “Um estudo sobre a previsibilidade dos preços de imóveis de Porto Alegre : evidências dos mercados de venda e de locação.” 2016. Thesis, Universidade do Rio Grande do Sul. Accessed October 23, 2019. http://hdl.handle.net/10183/140705.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Ramos, Henrique Pinto. “Um estudo sobre a previsibilidade dos preços de imóveis de Porto Alegre : evidências dos mercados de venda e de locação.” 2016. Web. 23 Oct 2019.

Vancouver:

Ramos HP. Um estudo sobre a previsibilidade dos preços de imóveis de Porto Alegre : evidências dos mercados de venda e de locação. [Internet] [Thesis]. Universidade do Rio Grande do Sul; 2016. [cited 2019 Oct 23]. Available from: http://hdl.handle.net/10183/140705.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ramos HP. Um estudo sobre a previsibilidade dos preços de imóveis de Porto Alegre : evidências dos mercados de venda e de locação. [Thesis]. Universidade do Rio Grande do Sul; 2016. Available from: http://hdl.handle.net/10183/140705

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Queensland University of Technology

3. Coleman-Fenn, Christopher Andrew. Forecasting volatility and correlation : the role of option implied measures.

Degree: 2012, Queensland University of Technology

 Forecasts of volatility and correlation are important inputs into many practical financial problems. Broadly speaking, there are two ways of generating forecasts of these variables.… (more)

Subjects/Keywords: volatility risk premium; implied volatility; implied correlation; model confidence set; intraday volatility; equicorrelation; realised equicorrelation

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Coleman-Fenn, C. A. (2012). Forecasting volatility and correlation : the role of option implied measures. (Thesis). Queensland University of Technology. Retrieved from https://eprints.qut.edu.au/53138/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Coleman-Fenn, Christopher Andrew. “Forecasting volatility and correlation : the role of option implied measures.” 2012. Thesis, Queensland University of Technology. Accessed October 23, 2019. https://eprints.qut.edu.au/53138/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Coleman-Fenn, Christopher Andrew. “Forecasting volatility and correlation : the role of option implied measures.” 2012. Web. 23 Oct 2019.

Vancouver:

Coleman-Fenn CA. Forecasting volatility and correlation : the role of option implied measures. [Internet] [Thesis]. Queensland University of Technology; 2012. [cited 2019 Oct 23]. Available from: https://eprints.qut.edu.au/53138/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Coleman-Fenn CA. Forecasting volatility and correlation : the role of option implied measures. [Thesis]. Queensland University of Technology; 2012. Available from: https://eprints.qut.edu.au/53138/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Queensland University of Technology

4. Scott, Ayesha T. Contributions to modelling correlations in financial econometrics.

Degree: 2016, Queensland University of Technology

 Modelling the correlations between financial asset returns is important for portfolio management and this thesis assesses a number of correlation models to provide insights into… (more)

Subjects/Keywords: Multivariate correlation forecasts; Large dimensional correlation matrices; Multivariate GARCH; Equicorrelation; Intraday correlation modelling; Portfolio optimisation; Model Confidence Set

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Scott, A. T. (2016). Contributions to modelling correlations in financial econometrics. (Thesis). Queensland University of Technology. Retrieved from http://eprints.qut.edu.au/97634/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Scott, Ayesha T. “Contributions to modelling correlations in financial econometrics.” 2016. Thesis, Queensland University of Technology. Accessed October 23, 2019. http://eprints.qut.edu.au/97634/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Scott, Ayesha T. “Contributions to modelling correlations in financial econometrics.” 2016. Web. 23 Oct 2019.

Vancouver:

Scott AT. Contributions to modelling correlations in financial econometrics. [Internet] [Thesis]. Queensland University of Technology; 2016. [cited 2019 Oct 23]. Available from: http://eprints.qut.edu.au/97634/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Scott AT. Contributions to modelling correlations in financial econometrics. [Thesis]. Queensland University of Technology; 2016. Available from: http://eprints.qut.edu.au/97634/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Queensland University of Technology

5. Doolan, Mark Bernard. Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?.

Degree: 2011, Queensland University of Technology

 Multivariate volatility forecasts are an important input in many financial applications, in particular portfolio optimisation problems. Given the number of models available and the range… (more)

Subjects/Keywords: multivariate volatility forecasts; volatility forecast evaluation; statistical loss functions; economic loss functions; portfolio optimisation; model confidence set; multivariate realised volatility

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Doolan, M. B. (2011). Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?. (Thesis). Queensland University of Technology. Retrieved from https://eprints.qut.edu.au/45750/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Doolan, Mark Bernard. “Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?.” 2011. Thesis, Queensland University of Technology. Accessed October 23, 2019. https://eprints.qut.edu.au/45750/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Doolan, Mark Bernard. “Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?.” 2011. Web. 23 Oct 2019.

Vancouver:

Doolan MB. Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?. [Internet] [Thesis]. Queensland University of Technology; 2011. [cited 2019 Oct 23]. Available from: https://eprints.qut.edu.au/45750/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Doolan MB. Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?. [Thesis]. Queensland University of Technology; 2011. Available from: https://eprints.qut.edu.au/45750/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

6. Violante, Francesco. Essays on Multivariate Volatility Forecasting.

Degree: 2010, DIAL (Belgium)

 Chapter 1 surveys the most important developments in volatility forecast comparison and model selection, in both the univariate and multivariate frameworks. The chapter reviews a… (more)

Subjects/Keywords: Multivariate GARCH; Volatility forecast evaluation; Model confidence set; Superior predictive ability; Consistent ranking; Multivariate GARCH diffusion; Quasi-approximated inference

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Violante, F. (2010). Essays on Multivariate Volatility Forecasting. (Thesis). DIAL (Belgium). Retrieved from http://hdl.handle.net/2078.2/73478

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Violante, Francesco. “Essays on Multivariate Volatility Forecasting.” 2010. Thesis, DIAL (Belgium). Accessed October 23, 2019. http://hdl.handle.net/2078.2/73478.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Violante, Francesco. “Essays on Multivariate Volatility Forecasting.” 2010. Web. 23 Oct 2019.

Vancouver:

Violante F. Essays on Multivariate Volatility Forecasting. [Internet] [Thesis]. DIAL (Belgium); 2010. [cited 2019 Oct 23]. Available from: http://hdl.handle.net/2078.2/73478.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Violante F. Essays on Multivariate Volatility Forecasting. [Thesis]. DIAL (Belgium); 2010. Available from: http://hdl.handle.net/2078.2/73478

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Univerzitet u Beogradu

7. Zildžović, Emir Dž. Analiza determinanti, dinamike i održivosti tekućeg računa bilansa plaćanja.

Degree: Ekonomski fakultet, 2016, Univerzitet u Beogradu

Društvene nauke / Makroekonomija

APSTRAKT Spoljne neravnoteže su fenomen koji je značajnu pažnju dobio kako u teorijskim i empirijskim istraživanjima, tako i među kreatorima ekonomske… (more)

Subjects/Keywords: External position; Current account; External sustainability; Present-value models; Rational bubbles; Global imbalances; Reversals; Model averaging; State-space model; Model confidence set.

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APA (6th Edition):

Zildžović, E. D. (2016). Analiza determinanti, dinamike i održivosti tekućeg računa bilansa plaćanja. (Thesis). Univerzitet u Beogradu. Retrieved from https://fedorabg.bg.ac.rs/fedora/get/o:11074/bdef:Content/get

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Zildžović, Emir Dž. “Analiza determinanti, dinamike i održivosti tekućeg računa bilansa plaćanja.” 2016. Thesis, Univerzitet u Beogradu. Accessed October 23, 2019. https://fedorabg.bg.ac.rs/fedora/get/o:11074/bdef:Content/get.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Zildžović, Emir Dž. “Analiza determinanti, dinamike i održivosti tekućeg računa bilansa plaćanja.” 2016. Web. 23 Oct 2019.

Vancouver:

Zildžović ED. Analiza determinanti, dinamike i održivosti tekućeg računa bilansa plaćanja. [Internet] [Thesis]. Univerzitet u Beogradu; 2016. [cited 2019 Oct 23]. Available from: https://fedorabg.bg.ac.rs/fedora/get/o:11074/bdef:Content/get.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Zildžović ED. Analiza determinanti, dinamike i održivosti tekućeg računa bilansa plaćanja. [Thesis]. Univerzitet u Beogradu; 2016. Available from: https://fedorabg.bg.ac.rs/fedora/get/o:11074/bdef:Content/get

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Case Western Reserve University

8. Sinha, Ritwik. EFFICIENT CONFIDENCE SETS FOR DISEASE GENE LOCATIONS.

Degree: PhD, Epidemiology and Biostatistics, 2007, Case Western Reserve University

 In positional cloning of disease susceptibility genes, identification of a linked chromosomal region via linkage studies is often followed by fine mapping with association studies.… (more)

Subjects/Keywords: Statistics; Biology, Genetics; Confidence Set Inference; disease gene localization; model-free linkage; maximum lod score; effect of disease models; CSI-MLS; Bayesian methods in linkage

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Sinha, R. (2007). EFFICIENT CONFIDENCE SETS FOR DISEASE GENE LOCATIONS. (Doctoral Dissertation). Case Western Reserve University. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=case1173464878

Chicago Manual of Style (16th Edition):

Sinha, Ritwik. “EFFICIENT CONFIDENCE SETS FOR DISEASE GENE LOCATIONS.” 2007. Doctoral Dissertation, Case Western Reserve University. Accessed October 23, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=case1173464878.

MLA Handbook (7th Edition):

Sinha, Ritwik. “EFFICIENT CONFIDENCE SETS FOR DISEASE GENE LOCATIONS.” 2007. Web. 23 Oct 2019.

Vancouver:

Sinha R. EFFICIENT CONFIDENCE SETS FOR DISEASE GENE LOCATIONS. [Internet] [Doctoral dissertation]. Case Western Reserve University; 2007. [cited 2019 Oct 23]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=case1173464878.

Council of Science Editors:

Sinha R. EFFICIENT CONFIDENCE SETS FOR DISEASE GENE LOCATIONS. [Doctoral Dissertation]. Case Western Reserve University; 2007. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=case1173464878


University of Canterbury

9. McAleer, M. Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation.

Degree: Department of Economics and Finance, 2011, University of Canterbury

 In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms… (more)

Subjects/Keywords: covariance forecasting; model confidence set; model ranking; MGARCH; model comparison; Field of Research::14 - Economics::1403 - Econometrics::140303 - Economic Models and Forecasting; Field of Research::14 - Economics::1402 - Applied Economics::140207 - Financial Economics

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APA (6th Edition):

McAleer, M. (2011). Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/5772

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

McAleer, M. “Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation.” 2011. Thesis, University of Canterbury. Accessed October 23, 2019. http://hdl.handle.net/10092/5772.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

McAleer, M. “Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation.” 2011. Web. 23 Oct 2019.

Vancouver:

McAleer M. Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. [Internet] [Thesis]. University of Canterbury; 2011. [cited 2019 Oct 23]. Available from: http://hdl.handle.net/10092/5772.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

McAleer M. Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. [Thesis]. University of Canterbury; 2011. Available from: http://hdl.handle.net/10092/5772

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Canterbury

10. McAleer, M. Robust Ranking of Multivariate GARCH Models by Problem Dimension.

Degree: Department of Economics and Finance, 2012, University of Canterbury

 During the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms… (more)

Subjects/Keywords: Covariance forecasting; model confidence set; robust model ranking; MGARCH; robust model comparison; Field of Research::14 - Economics::1401 - Economic Theory::140103 - Mathematical Economics; Field of Research::14 - Economics::1402 - Applied Economics::140207 - Financial Economics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

McAleer, M. (2012). Robust Ranking of Multivariate GARCH Models by Problem Dimension. (Thesis). University of Canterbury. Retrieved from http://hdl.handle.net/10092/9783

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

McAleer, M. “Robust Ranking of Multivariate GARCH Models by Problem Dimension.” 2012. Thesis, University of Canterbury. Accessed October 23, 2019. http://hdl.handle.net/10092/9783.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

McAleer, M. “Robust Ranking of Multivariate GARCH Models by Problem Dimension.” 2012. Web. 23 Oct 2019.

Vancouver:

McAleer M. Robust Ranking of Multivariate GARCH Models by Problem Dimension. [Internet] [Thesis]. University of Canterbury; 2012. [cited 2019 Oct 23]. Available from: http://hdl.handle.net/10092/9783.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

McAleer M. Robust Ranking of Multivariate GARCH Models by Problem Dimension. [Thesis]. University of Canterbury; 2012. Available from: http://hdl.handle.net/10092/9783

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Queensland University of Technology

11. Jurdi, Doureige. Essays on volatility and liquidity in financial markets.

Degree: 2012, Queensland University of Technology

 The price formation of financial assets is a complex process. It extends beyond the standard economic paradigm of supply and demand to the understanding of… (more)

Subjects/Keywords: realized volatility, jumps, asymmetric volatility, leverage effect, encompassing forecasts, model confidence set, liquidity, macroeconomic shocks, high frequency finance, intradaily jumps, intradaily volatility, flexible Fourier transform; market microstructure noise, optimal sampling frequency, exchange traded funds, DCC-GARCH, factor modeling, PANIC

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Jurdi, D. (2012). Essays on volatility and liquidity in financial markets. (Thesis). Queensland University of Technology. Retrieved from https://eprints.qut.edu.au/61103/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Jurdi, Doureige. “Essays on volatility and liquidity in financial markets.” 2012. Thesis, Queensland University of Technology. Accessed October 23, 2019. https://eprints.qut.edu.au/61103/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Jurdi, Doureige. “Essays on volatility and liquidity in financial markets.” 2012. Web. 23 Oct 2019.

Vancouver:

Jurdi D. Essays on volatility and liquidity in financial markets. [Internet] [Thesis]. Queensland University of Technology; 2012. [cited 2019 Oct 23]. Available from: https://eprints.qut.edu.au/61103/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Jurdi D. Essays on volatility and liquidity in financial markets. [Thesis]. Queensland University of Technology; 2012. Available from: https://eprints.qut.edu.au/61103/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Dublin City University

12. Esposito, Francesco. Model selection in a multi-hypothesis test setting: applications in financial econometrics.

Degree: DCU Business School, 2017, Dublin City University

 In this thesis, we investigate model selection in a general setting and perform several exercises in financial econometrics. We present the multi-hypothesis testing (MHT) framework,… (more)

Subjects/Keywords: Finance; Mathematical models; Statistics; Multi-hypothesis test; generalised family-wise error rate; tail probability of false discovery proportion; stationary bootstrap; step-down algorithm, model confidence set; value-at-risk, expected shortfall; likelihood function; second order non-linear filter; jump-diffusion, stochastic volatility; stochastic hazard, option pricing model; partial integral-differential equation; finite difference method.

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APA (6th Edition):

Esposito, F. (2017). Model selection in a multi-hypothesis test setting: applications in financial econometrics. (Thesis). Dublin City University. Retrieved from http://doras.dcu.ie/22147/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Esposito, Francesco. “Model selection in a multi-hypothesis test setting: applications in financial econometrics.” 2017. Thesis, Dublin City University. Accessed October 23, 2019. http://doras.dcu.ie/22147/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Esposito, Francesco. “Model selection in a multi-hypothesis test setting: applications in financial econometrics.” 2017. Web. 23 Oct 2019.

Vancouver:

Esposito F. Model selection in a multi-hypothesis test setting: applications in financial econometrics. [Internet] [Thesis]. Dublin City University; 2017. [cited 2019 Oct 23]. Available from: http://doras.dcu.ie/22147/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Esposito F. Model selection in a multi-hypothesis test setting: applications in financial econometrics. [Thesis]. Dublin City University; 2017. Available from: http://doras.dcu.ie/22147/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.